MODIFIED KPSS TESTS FOR NEAR INTEGRATION

B-Tier
Journal: Econometric Theory
Year: 2007
Volume: 23
Issue: 2
Pages: 355-363

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This note suggests a simple modification to the Kwiatkowski, Phillips, Schmidt, and Shin (1992, Journal of Econometrics, 54, 159–178) test (KPSS test) so that it is applicable to testing the null hypothesis of near integration against a unit root alternative. The modified KPSS test is shown not to suffer from the asymptotic size distortion problems of the original KPSS test that are described by Müller (2005, Journal of Econometrics 128, 195–213). The test also has good asymptotic and finite-sample properties relative to the point optimal tests of Müller (2005) and Elliott and Müller (2006, Journal of Econometrics 135, 285–310).

Technical Details

RePEc Handle
repec:cup:etheor:v:23:y:2007:i:02:p:355-363_07
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25